A real order in the book, or a fake one

The threshold above which density counts as significant is not a constant in money but a power function of the instrument daily turnover — otherwise any noise looks significant on a quiet market. A second condition requires an outlier against the median level: absolute size alone is not enough.

A fake order is told from a real one by a series of snapshots: how many distinct prices visited the top level and how much its size jumps. The order is then followed to its outcome — held, eaten into, pulled away from the price, moved, or broken through.

The scripts read public data only and place no orders under any settings.

Python · WebSocket · standard library